The very last movie from the first game: The Thevius Racoonus is reassembled, the 5 criminals who stole it were defeated, and Sky happily proclaims that it was time for him to write his own legacy in the book.
In Sly 2's introductory mission, we see Bentley's first time out in the field, and his efforts to calm his nerves include an abundance of codenames that Sly jokingly mangles. Much later, both Sly and Murray are arrested, but even on his own, Bentley trails them. After three consecutive solo jobs to bust Sly out, Bentley acknowledges Sly's thanks by saying it's part of a friend's duty. Sly agrees wholeheartedly and calls Bentley by his proper codename.
When the gang is in China in the third game, Murray's van, which was last seen on an iceberg in Canada, turns up half frozen in ice, and Murray starts dragging it back to the Safe House. The Heartwarming part is that (the Panda King) helps Murray by blasting any guards who get close to tiny pieces. You need to see it to get the full effect.
To explain, after Penelope has tried her hardest to pull the van away, Murray states that he'll never leave her [the van] behind again. Panda King is moved at this since if he had that heart and spirit, he would have saved his daughter from being captured and forcibly betrothed, and thus helps Murray get the van back. For this, Murray gives him shotgun for a month.
When Sly is going for the Cooper Vault treasure, Murray and Bentley stay behind. Bentley questions his friendship with Sly but Murray explains that it was okay because if they switched places, Sly would've been proud of Bentley.
How about another Bentley related one? After being kicked out of his wheelchair by LeFwee, Penelope goes and fights him. The end of the chapter shows Penelope in Bentley's arms as they fly off in his rocket powered wheelchair.
Bentley and Penelope's relationship nonstop. During their missions in the final level of Sly 3 they affectionately call each other pet names and during his closing narration he reveals he's deeply in love with her. At the start of Thieves in Time they're shown working together on Bentley's secret project and for a few seconds we see her resting on Bentley's body while he fidgets with his gadgets. He's even hung a picture of her on his binocucom. D'aaaaw.
And then that relationship ended in Thieves in Time. Oh boy...
Carmelita has a slight one in Sly 2: Despite wanting to get Cooper and his gang, she's shown to be caring when she captures Murray. She keeps an eye on him, apologizes for the cramped cage, and even goes out to give the hungry hippo some jelly beans.
This motion was apparently not forgotten by Murray who in the third level of Thieves in Time asks Bentley where she is because he's starting to miss her. Maybe the two are unrelated but it's still sweet regardless.
Seeing how far Dimitri has come, both as a friend to the Cooper Gang, and as a person. He was an antagonist in the second game, but throughout the third game he warms up to them and eventually joins up. By the beginning of Thieves in Time, Sly is freely referring to him as their friend (as opposed to their former frogman, or ally, etc) and entrusts him with the Thievius Raccoonus, also known as the physical embodiment of his family's legacy. That Sly and company can go to him for help, and that he will freely give it, is just sweet.
In Cave of the Clan Raccoon, Carmelita soon realizes that she and Sly are Not So Different and after spending time with the gang and Sly's ancestors, she gains a newfound respect for him.
From that point onward, while she remains abrasive towards Sly, she shows a softer side time and time again—giving him an "almost compliment" in the Ice Age, pushing him out of the way of a crashing castle gate in the Medieval era, and so on. Then comes the Grand Finale, and she finally softens up completely.
Even if she is abrasive to Sly throughout the game she shows a much lighter side to his ancestors and to Bentley and Murray. She's genuinely concerned for Bentley and Murray's safety when they're briefly captured by Toothpick and is the first to try to help Murray when he faces Grizz.
After Bentley gets his Heroic BSOD in Of Mice and Mechs, he tucks into his shell. Before the gang goes to their operation, Murray leaves Bentley a crayon drawing of the gang and Carmelita.
At the climax of Thieves in Time, Le Paradox's blimp is coming apart, but Sly is determined to finish the fight with the rival thief once and for all. There's no talking him out of it. But before she's forced to run away with the rest of the team, Carmelita and Sly share a poignant moment that makes up for all the tension that existed between them in the previous episodes:
Carmelita: (Clasping Sly's shoulder) "Sly...I..."
Sly: (Turns to face her) "I know. Me, too."
So much unsaid, yet with that exchange, you get the impression that they finally made up—that really, despite everything, they didn't NEED that many words to do so. Deep down, they understand each other that much.
In the finale of the animated short "Timing is Everything," Sly finds himself held by Carmelita at gunpoint, much as he was in the first game. Once again, he manages to get away by kissing her, then slipping away while she's stunned from the liplock. But this time? He leaves her with the priceless antique watch that he'd been trying to steal in the first place—and that she'd been trying to retrieve after it was stolen by Muggshot. Basically, he gave up all the hard work of the heist just to make her happy. And for all her previous anger at him during the short, the way she smiles once she realizes what he's done shows that, for all her black-and-white outlook on crime, she still appreciates what he did for her.
Out of all the villains in Thieves in Time, Ms. Decibel gets the happiest ending. Sure, she's in jail but decides to turn her life around by getting that trumpet removed and learning to control her anger with a high chance of having parole for good behavior. After the huge Kick the Dog moment Le Paradox gave to her, it's nice that she to get on the right path.
A meta one. An official statement from suckerpunch games, the original developers of the Sly franchise said they were proud of Sanzaru games for creating the 4th game in the franchise.
In the boss battle against Penellope as Sly, you can hear Carmelita, of all people, cheering you on in the background.